2 results for Ploberger, W

  • Optimal Test for Jump Detection

    Lee, Tae Suk; Ploberger, W (2009)

    Conference item
    The University of Auckland Library

    Suppose one has given discrete observations of a continous-time random process (like e.g. stock market data) and one wants to test for the presence of jumps. Then the power of the tests will depend on the frequency of observations. We show, theat if the data are observed at intervals of lenght 1/n, at best one can detect jumps of height ln(n)/√n. We construct a test which achieves this rate in the case of diffusion-type processes.

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  • Rate-optimal Tests for Jumps in Diffusion Processes

    Lee, Tae Suk; Ploberger, W (2011)

    Conference item
    The University of Auckland Library

    Suppose one has given a sample of high-frequency intra-day discrete observations of a continuous-time random process (e.g. stock market data) and wants to test for the presence of jumps. We show that the power of any test of this hypothesis depends on the frequency of observation. In particular, we show that if the process is observed at intervals of length 1=n and the instantaneous volatility of the process is given by t, at best one can detect jumps of height no smaller than ...... We construct a test which achieves this rate in the case for di??usion-type processes.

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